Arbeitspapier

Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects

We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.

Language
Englisch

Bibliographic citation
Series: Working Paper Series: Finance & Accounting ; No. 78

Classification
Wirtschaft
International Financial Markets
Subject
international stock markets
cross-listing
price discovery
Börsenkurs
Multinationales Unternehmen
Deutsch
Preiskonvergenz
Exchange Rate Pass-Through
Schock
Effizienzmarkthypothese
Deutschland
USA

Event
Geistige Schöpfung
(who)
Grammig, Joachim
Melvin, Michael
Schlag, Christian
Event
Veröffentlichung
(who)
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
(where)
Frankfurt a. M.
(when)
2001

Handle
URN
urn:nbn:de:hebis:30-17631
Last update
10.03.2025, 11:46 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Grammig, Joachim
  • Melvin, Michael
  • Schlag, Christian
  • Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften

Time of origin

  • 2001

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